Dear Alex,
I also notice this questions before. Wuhan is not a name for train station. You may try to serch Hankou which is a city in Wuhan. I'm afraid there is no direct train between Wuhan and Hk.

Note that Wuhan is a city name, while there are altogether three railway stations in city proper of Wuhan, namely Wuchang, Hankou and Hanyang station. Not all trains that pass by Wuhan stops in all these three stations, so check before you buy a ticket.

Where should I change from HK to Wuhan. Do I really need to pass by Shanghai?
Thank you

no. you can also connect in Shenzhen or Guangzhou.

I made it, I just had to change in Changsha to arrive at Wuchang (Wuhan)

From Hong Kong to any part of MainLand China. It is better go by Subway to Lohou Subway station. which is the last Subway station on Hong kong. there you cross the border to MainLand. and you are on China. on the main train station on Shenzhe.. From there you can go anywhere on Mainland. There is train from Hong Kong to Beijing. but i dont know where to get it.

This is definitly the best way. From Shenzhen,
you get train to everywhere and cheaper. For instance, Shenzhen-Guangzhong 75 Yuan (Hong-Kong-Guangzhong 200 Yuan) and the train is modern and confortable!!
Shenzhen-Changsha and Shenzhen-Shanghai are available by night train.